Senior Quant Analyst, Commodities Derivatives Pricing

Bank of America; Houston (TX); On-site; USD 100,000 - 300,000; Full time

Benefits offered by this job

Benefits eligible

Discretionary incentive

Job summary

Bank of America seeks a mid-to-senior Quantitative Analyst for its Commodities Quantitative Strategies and Data Group. Focus on pricing models, volatility modelling, and analytics libraries in production.

Strong C++/Python skills, and experience with energy derivatives preferred. The role involves developing pricing models for gas, power, and other energy products, collaborating with traders and risk managers, and contributing to governance and documentation.

Qualifications

• Advanced degree in Mathematics, Physics, CS, Financial Engineering or related field.
• Experience in quantitative analytics or development in a financial institution.
• Strong derivatives pricing and volatility modelling experience.

Responsibilities

• Develop, implement, and maintain pricing and risk models for commodities derivatives.
• Design and build scalable model pricing code and analytics platforms.
• Collaborate with traders, risk managers and model validation teams throughout the lifecycle.

Skills

C++

Python

Quantitative finance

Derivatives pricing

Volatility modelling

Education

MSc/PhD in quantitative field

Tools

Git

CI/CD

Testing

Job description

Bank of America seeks a mid-to-senior Quantitative Analyst for its Commodities Quantitative Strategies and Data Group. Focus on pricing models, volatility modelling, and analytics libraries in production.

Strong C++/Python skills, and experience with energy derivatives preferred. The role involves developing pricing models for gas, power, and other energy products, collaborating with traders and risk managers, and contributing to governance and documentation.